I think he referer to "Undo last closed" tab not Session.
You can found it in right click context menu in a tab or in the tab bar or in File menu.
The accelerate defined to "Undo Last Closed" tab is Ctrl+Alt+Z

I use a button to hold the redo command so I can re-open closed tabs with one click. Here is how I do that. In the "toolbars.cfg" file of the skin that you use add the following section. As you can see, I have placed my "redo" section between history and print sections.

You can get the button that I use at http://www.perigee.net/~jmd8421r/redo.bmp . In the skins folder create a folder and call it "Default". Place the "redo.bmp" file there. Just click on the image and do "save image as". You will need to restart KM to get this running.